CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	46
αARCH	0.0000	0.00
βGARCH	0.0000	0.00
γleverage	0.5000	173.85***
λ₁tau intercept	6.9319	21.06***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0626	5.48***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	173.85***
λ₁ tau intercept Baseline long-term coefficient	6.9319	21.06***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0626	5.48***

V-Lab

XtalPi Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other XtalPi Holdings Ltd Analyses